Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0726
Annualized Std Dev 0.2039
Annualized Sharpe (Rf=0%) 0.3562

Row

Daily Return Statistics

Close
Observations 3420.0000
NAs 1.0000
Minimum -0.0954
Quartile 1 -0.0045
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0062
Maximum 0.1258
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0128
Skewness -0.1168
Kurtosis 12.0237

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0091
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5677
Historical VaR (95%) -0.0194
Historical ES (95%) -0.0321
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0222
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-06 2013-01-25 -0.5677 1346 398 948
2020-02-14 2020-03-23 2020-08-27 -0.3628 136 26 110
2018-09-21 2018-12-24 2019-07-12 -0.2113 202 65 137
2015-05-20 2016-02-11 2016-11-14 -0.1691 355 173 182
2018-01-29 2018-04-02 2018-09-20 -0.1062 163 43 120

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.2 -0.3 0.1 0 -0.2 0.1 1.4 1.4 -2.5 1 -0.9 -0.2
2008 2 -2.8 3 1.5 -0.1 -0.2 1.5 1.2 -6.1 3.7 0.5 1.2 5.1
2009 -1.3 -3.5 1.5 0.8 4.6 0.2 0.2 -2 -1.1 -1.9 1.7 0.1 -0.9
2010 0.5 0.6 0.3 -0.2 -1.7 -0.8 -0.2 2.1 0.1 -0.4 2 -0.1 2.3
2011 1.9 -1.4 0.3 0.4 -1.4 1.3 -0.6 -0.7 -2.3 -2.9 0.9 0 -4.6
2012 1.5 1.1 0.6 1.2 -3.2 2.3 -0.5 0.4 0.5 0.2 0.2 1 5.3
2013 0.7 -0.4 -0.6 -1 -0.3 0.2 1.2 -0.5 0 -0.3 0.5 0.7 0.1
2014 -0.5 0.1 0.7 -0.4 0.2 0.8 0.1 0.1 -1.5 1.3 -0.8 -0.4 -0.3
2015 -1.2 -0.1 -1.3 0.9 -0.4 0.2 0 -3.1 -0.3 0.2 0.3 -1 -5.6
2016 -0.2 -0.4 -0.1 -0.7 -0.4 0.7 0.1 -0.2 1.2 -0.9 0 -0.5 -1.4
2017 0 1.2 0.1 0.5 0.9 -0.6 0.1 0.2 0.4 0 -0.6 -0.2 2.1
2018 -0.1 -2.1 1.3 -1 0.4 0.4 -0.1 -0.2 0.1 0.3 0.4 0.5 -0.3
2019 0.1 0.7 1.5 -0.6 -1.4 0.8 -1.3 0.4 -1.4 1.4 -0.2 0.3 0.4
2020 -2.2 -0.3 -4.4 -3 0.6 0.3 0.5 0.1 0.5 -1.7 0.9 0.3 -8.2
2021 1.3 2 0 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-23  16.7 SPY    145. -0.0039  -0.0034   0.0094   0.0342   0.124     0.268    0.342 GLD    67.7  0.0085   0.0197
2 2007-02-26  16.7 SPY    145. -0.0009  -0.0038   0.0205   0.0322   0.125     0.269    0.324 GLD    68.1  0.0056   0.0262
3 2007-02-28  16.2 SPY    141.  0.0103  -0.0346  -0.0079   0.0041   0.0886    0.226    0.267 GLD    66.5  0.0164  -0.0119
4 2007-03-01  16.1 SPY    141. -0.003   -0.0367  -0.016    0.0151   0.0958    0.222    0.258 GLD    65.8 -0.0099  -0.0198
5 2007-03-02  16.1 SPY    139. -0.0131  -0.0456  -0.0353  -0.0025   0.0719    0.194    0.248 GLD    63.7 -0.0321  -0.0592
6 2007-03-05  15.8 SPY    137. -0.0095  -0.0539  -0.0502  -0.0222   0.0618    0.189    0.208 GLD    62.9 -0.0122  -0.0759
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart